How do you calculate margin requirements?

In order to calculate the margin requirement of a given portfolio, EXANTE uses an in-house risk management system, a variation of SPAN®, the Standard Portfolio Analysis of Risk. The SPAN® methodology consists of a series of portfolio "what-if"-scenarios that yields the worst possible performance loss a portfolio can suffer over a specific time horizon. To do this, SPAN® uses a predefined set of parameters reflecting the market conditions of traded contracts.